#### Urvil Khona14

##### New Member

I've a question for the chapter binomial model problem 13.14 of VaR

The question is

A stock price is currently $25. It is known that at the end of two months it will be either $23 or

$27. The risk-free interest rate is 10% per annum with continuous compounding. Suppose ST is

the stock price at the end of two months. What is the value of a derivative that pays off

So I wanted to know how did you find the values of u in the question because I was not able to find equation 13.2&13.3

Please help